Correlation Between Citigroup and Agilent Technologies
Can any of the company-specific risk be diversified away by investing in both Citigroup and Agilent Technologies at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Citigroup and Agilent Technologies into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Agilent Technologies, you can compare the effects of market volatilities on Citigroup and Agilent Technologies and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Citigroup with a short position of Agilent Technologies. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Agilent Technologies.
Diversification Opportunities for Citigroup and Agilent Technologies
0.73 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Citigroup and Agilent is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Agilent Technologies in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Agilent Technologies and Citigroup is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Citigroup are associated (or correlated) with Agilent Technologies. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Agilent Technologies has no effect on the direction of Citigroup i.e., Citigroup and Agilent Technologies go up and down completely randomly.
Pair Corralation between Citigroup and Agilent Technologies
Taking into account the 90-day investment horizon Citigroup is expected to generate 0.95 times more return on investment than Agilent Technologies. However, Citigroup is 1.05 times less risky than Agilent Technologies. It trades about 0.05 of its potential returns per unit of risk. Agilent Technologies is currently generating about -0.12 per unit of risk. If you would invest 6,166 in Citigroup on January 26, 2024 and sell it today you would earn a total of 81.00 from holding Citigroup or generate 1.31% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Agilent Technologies
Performance |
| Timeline |
| Citigroup |
| Agilent Technologies |
Citigroup and Agilent Technologies Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Agilent Technologies
The main advantage of trading using opposite Citigroup and Agilent Technologies positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Agilent Technologies can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Agilent Technologies will offset losses from the drop in Agilent Technologies' long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Agilent Technologies vs. Fonar | Agilent Technologies vs. Burning Rock BiotechLtd | Agilent Technologies vs. Sera Prognostics | Agilent Technologies vs. Psychemedics |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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